Every actor wants to work with Martin Scorsese, and so, it seems, does every director. Jon Favreau, the Swingers star who spent the last decade directing big Hollywood productions like Elf and Iron Man, is one of several directors who have acting roles in Scorsese’s new film The Wolf of Wall Street. “It was a bucket-list moment for me,” Favreau said of working with his idol.

In the film, which recreates the sex-and-drug-fueled rise and fall of stock fraudster Jordan Belfort (Leonardo DiCaprio), Favreau plays Manny Riskin, the attorney Belfort turns to when he’s in trouble with the Securities and Exchange Commission. Favreau says he never met the real-life model for his character, but he brought to bear his own experience working on Wall Street in the late 1980s, the same time Belfort was there before he struck out on his own.

A man who’s worn many hats, Favreau will soon be seen in a chef’s toque in Chef, a film that required him to learn how to run a restaurant kitchen. Due for release this May, Chef, which Favreau wrote, directed, and stars in, marks his return to his indie roots. The 47-year-old recently phoned Rolling Stone from his office in Santa Monica to discuss the lessons he’s learned – from Scorsese to the world of big-budget blockbusters and his return to more personal filmmaking.

What was your experience on The Wolf of Wall Street like?Scorsese’s been a hero of mine since I was young. If you saw Swingers, you know I was definitely fixated on his body of work. So to be asked to work with him was great. It turns out there are a few directors who ended up in this film. Spike Jonze is in there, and I was working with Rob Reiner. I was just a small piece of a large ensemble, but it was a treat to be a part of it and to watch a master direct – to see what his personality was like. It’s fun to see how other people run their sets. I was not disappointed. It was great to watch him working with both Jonah [Hill] and Leo [DiCaprio] and also to be able to work with Rob Reiner, who’s another hero of mine. To be part of one of Scorsese’s classic Steadicam shots was also great. It was a dream come true. It was a bucket-list moment for me.

What did you learn from Scorsese that you can bring back to your own directing?He brings a real enthusiasm. He’s a generous laugher. He runs a loose set when it comes to the exchange of ideas. He doesn’t attempt to control everything. He puts a lot of work into his casting and story, but dialogue is loose, which I like. There’s an energy to the set and the camerawork. I’ll just try to emulate him even more.

The truth is, I’d asked so many people who’d worked with him what his set was like and how he worked. Long before I’d ever been on his set, I was emulating his process, just from anecdotal experience. When I worked on [IFC series] Dinner for Five, anybody who worked with Scorsese, I would grill them about what the experience was like. I’ve had Kevin Pollak tell me the story of Casino on several occasions because it was so fascinating to me.

But actually being there, it was hard to do my role, because I was spending so much time observing and paying attention. As an actor, you have to be off in your own world and fixated on what you’re about to do, but I was so drawn in to what was going on around me. It was very distracting.

Do you still find yourself getting starstruck?Not usually, but that was a hard one for me, because I didn’t want to drop the ball. I was in a scene with a big monologue between Leo and Rob Reiner, neither of whom I knew too well, with Scorsese directing. I had flown out to be in this scene. So it was one of those moments where you don’t want to let anybody down, but it’s also one of those moments that makes you nervous. That particular configuration of people definitely made it feel like my first day of work, ever.

What sort of research did you do to play your Wolf role?I grew a mustache – that was my character work. I played him like me, if I was a lawyer.I actually worked on Wall Street. I was there the day depicted in the film, when the market crashed in ’87. I was in facilities planning at an investment banking house. It was already a week into my two-week notice. It wasn’t for me. I was getting out of there. I was in my twenties, and I went back to school. But I did see it all shift and change.

S0 does the film depict that era on Wall Street accurately?I wasn’t a trader on the inside. I was there in a support capacity. But it was interesting to be there and know the fashion and know what that moment was like. I can’t really speak to the accuracy of the behavior. I know the look of it was right. I know the costumes and the equipment on the trading desks. It looked very familiar. I was the guy they called if the air conditioning wasn’t working. I was sort of floating through.

In Wolf, you get a taste of [that moment] before the market crashes, when [Belfort] was a cold-caller. And I remember what those floors were like. It just seemed really loud and busy and amped up. There was a lot of adrenaline pumping because there was a lot of action. But the debauchery, that I never witnessed. That wasn’t taking place in the work space. The movie implies that it took place after hours.

Tell us about Chef.It’s an independent ensemble comedy about a guy who is a very established and talented chef, who ends up losing his gig at a French restaurant in Brentwood after getting into a bit of a flame war on social media with a critic. He loses his job, publicly humiliates himself and has to start all over. He ends up going across the country with his 10-year-old son from a divorced marriage, in a food truck, stopping in different cities, learning about the music, the food, and the culture, and reconnecting with his family.

Was it nice to return to independent filmmaking after a decade of big-budget movies?It really was, because as the films got bigger and more successful, there was also more collaboration and more voices. It was nice to tell a story purely from the heart – to do it at a budget level where I had control of casting and how the film was made and where it was made. It was challenging logistically, but it was an incredibly gratifying experience. I’m at that point where it’s all finishing up and I’m about to share it with an audience. Even though it’s a small movie and doesn’t have to make as much as the big ones to be successful, it’s amazing how invested I am in hoping that people will like it and connect with it. It was truly personal and a big labor of love.